欧洲主权债券交易:Mts交易平台的微观结构

Y. Cheung, B. Rindi, Frank de Jong
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引用次数: 114

摘要

本文研究了MTS Global Market债券交易系统的微观结构。该系统是欧元区政府债券最大的泛欧交易商间交易系统。我们研究了不同类型债券到期日和发行国家的成交量加权报价价差和各种有效价差措施。我们发现报价价差和有效价差与期限和交易强度有关。EuroMTS的估计息差通常略高于国内市场,但从经济角度来看,两者的差异很小。回归结果表明,订单流在债券市场的价格发现中起着关键作用。在意大利和比利时等由当地贸易商主导的市场,短期成本更为重要。此外,我们发现交易强度与价格回报之间存在正相关关系,这表明研究结果与债券市场结构和交易商间交易有关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms
We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan-European interdealer trading system for Eurozone government bonds. We study the volume weighted quoted spread and a variety of effective spread measures for different classes of bond maturities and issuing countries. We find that quoted and effective spreads are related to maturity and trading intensity. Estimated spreads on EuroMTS are typically slightly higher than on the domestic markets, but the difference is small in economic terms. The regression results show that order flow plays a key role in determining the price discovery in the bond market. Transitory costs are more important in markets like Italy and Belgium, which are dominated by local traders. In addition, we find a positive relationship between trading intensity and price returns, indicating findings relevant to the structure of bond markets and interdealer trading.
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